当前位置:网站首页>Lm11 reconstruction of K-line and construction of timing trading strategy
Lm11 reconstruction of K-line and construction of timing trading strategy
2022-07-07 07:11:00 【Squirrel kuanke】
Quantitative strategy development , High quality community , Trading ideas sharing and other related contents
『 Text 』
ˇ
Hello everyone , What we brought today LM The first 10 Periodic strategy iteration . This article is different from the previous strategy algorithm and data perspective , What we are doing today is going to K Line data for reconstruction , By reconstructing the noise reduction market data to make timing judgment . As shown in the figure below :
Above, IC personal witness 500 Of stock index futures 10 Minute market chart .
One 、 Strategy logic and iteration content
The strategy is refactored K Line from Heikin Ashi Candlestick Charts ,Heikin Ashi It's the Japanese based on the original candle map , A price graph obtained by averaging prices .
Candle chart is also called K Line graph , It is an important part of technical analysis , It was first used by Japanese businessmen in the Tokugawa Shogunate era to record the rice market and price fluctuations , Later, it was introduced into the chart analysis of stock market and futures . Ordinary K The line diagram should be familiar to everyone , and Heikin Ashi Candlestick Charts ( abbreviation HA Candlestick Charts ) It should be relatively rare .Heikin In Japanese, it means average , and Ashi It's rhythm , Together, it means the average rhythm of stock price movement .HA The candle chart is calculated according to historical prices , It is equivalent to noise reduction of the original price , Make it better reflect the movement trend of price .
Ordinary K There is often a lot of noise in the line graph , These noises destroy the real trend , such as , Short term market correction or sentiment adjustment , And over interpretation of news and market , May cause meaningless short-term price and trading volume fluctuations , Such noise will disturb and mislead traders in analyzing the market . In order to reduce common K Noise generated by line diagram ,HA Candle chart came into being ,HA Of the four prices in ,HA Opening price and HA The closing price is calculated by averaging , The averaging process is equivalent to the noise elimination process , To a certain extent, the noise of the market is eliminated , It can more clearly reflect the trend of market prices . The calculation method is shown in the figure below ∶
In the original , We iterate again through online public examples and algorithms , Minor correction , As shown in the figure below :
The purpose is to further reduce the occurrence of burrs , Although through visual comparison , There is no significant sensory difference between the two , But the details are for different varieties and different cycles , It still has a certain denoising effect .
In refactoring K After the line is finished , We can see through observation that ,K The structure of the line has changed a lot , But the overall trend has not changed . Here we are. , Some people will ask , Is this kind of play reasonable in itself ? This question is left to readers to taste . It's like everyone has a hamlet in their heart .
Through the first step above , We use SF21 Count Yin and Yang K And the way up and down ( because K The line is getting rid of the noise ) To build “ new SF21” Strategy . As shown in the figure below :
In terms of appearance , We use super trendline “ Jack of all trades ” Exit template .
Two 、 visualization
J long
IC long
Eb long
J short
LH short
IC short
3、 ... and 、 The performance of
The first generation version of this strategy does not test multiple varieties , Only from 5 Large plate extraction 1-2 Basic test of varieties , As shown in the figure below :
2017—2022.5.27
2022.03.01—2022.5.27
Kaiping is adopted for the goods 2 Jump slip point , Stock index futures adopt Kaiping 4 jump , The handling charge is stipulated by the exchange + Back test according to the standard of .
The performance of other varieties should be tested and observed by yourself in the work area , I won't go into details here .
summary :
1、 The heterogeneity of strategy in this period is not related to the algorithm and logic of entry and exit , It's refactoring K Entry point of line .
2、 I only tested black 、 chemical 、 Agricultural products 、 Stock index futures 4 Different plates 1-2 varieties , The initial test was Coke , Because Coke is the bottom line , If this is not good , The others don't need to be tested , It must be bad .( I mean normal CTA Strategy ).
3、 The strategy bears have two appearances , The purpose is to differentiate with the market structure of bulls . In fact, bulls can also be made 2 A logic of appearance , Found in other strategy tests , Not good , So there is no addition , But that doesn't mean you can't add .
4、 The strategy is refactored K There is still room for improvement in the process of wiring , The second is refactoring K Line , We can also continue to sort out other entry and exit logic . It's not limited SF21 The idea of .
Due to the differences of various platforms , Back test performance to TBQ The version shall prevail !!!
This strategy is only used for learning and communication , The investor is personally responsible for the profit and loss of the firm offer .
边栏推荐
猜你喜欢
MySQL view bin log and recover data
Network foundation - header, encapsulation and unpacking
异步组件和Suspense(真实开发中)
Leetcode t1165: log analysis
Graduation design game mall
Jesd204b clock network
. Net 5 fluentftp connection FTP failure problem: this operation is only allowed using a successfully authenticated context
MATLAB小技巧(30)非线性拟合 lsqcurefit
Special behavior of main function in import statement
Jetpack compose is much more than a UI framework~
随机推荐
Nesting and splitting of components
Lvs+kept (DR mode) learning notes
Complete process of MySQL SQL
Distributed ID solution
js小练习----分时提醒问候、表单密码显示隐藏效果、文本框焦点事件、关闭广告
js小练习
freeswitch拨打分机号源代码跟踪
SQLMAP使用教程(四)实战技巧三之绕过防火墙
【JDBC以及内部类的讲解】
大咖云集|NextArch基金会云开发Meetup来啦
请教一个问题,flink oracle cdc,读取一个没有更新操作的表,隔十几秒就重复读取全量数据
Release notes of JMeter version 5.5
OOM(内存溢出)造成原因及解决方案
How to share the same storage among multiple kubernetes clusters
Sword finger offer high quality code
Please answer the questions about database data transfer
Please tell me how to monitor multiple schemas and tables by listening to PgSQL
请问 flinksql对接cdc时 如何实现计算某个字段update前后的差异 ?
transform-origin属性详解
from .onnxruntime_pybind11_state import * # noqa ddddocr运行报错